I tell you one thing I'm upset about: the day after Christmas my tree is all dried up, all brown. I went back to where I bought it, and the whole place is gone. This is the last year I buy my Christmas tree from one of those fly-by-night businesses.

The joke hinges on a deliberate misreading of “fly-by-night business.” Christmas tree lots are literally temporary, seasonal operations that vanish after the holiday, so the speaker’s complaint—that the seller has disappeared when the tree dries out—treats a normal, expected fact as evidence of shady conduct. Leno’s persona here is the aggrieved consumer, using mock indignation to expose the absurdity of expecting post-Christmas customer service from a business designed to exist only briefly. The humor also plays on the inevitability of a cut tree browning quickly, turning a predictable outcome into a comic grievance.